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From: Sumit S. <su...@mo...> - 2020-08-27 14:41:51
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Hi, I am following the example in python cookbook to calibrate the HW 1 factor model to market supplied Normal vols The cookbook specifically mentions in Chapter 17: [image: image.png] Perhaps that's why my code is failing (see attached jupyter notebook). Any pointers to how I can fix this issue will be greatly appreciated... I guess the usual approximation: normalVol ~ price * log-normalvol also won't work as the rates are -ve ? Regards Sumit -- Mosaic Smart Data mobile +44 (0)7961839363 su...@mo... 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom www.mosaicsmartdata.com |